期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2010
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：This study utilizes a macro-based VAR framework to investigate whether stock portfolios formed
on the basis of their value, size and past performance characteristics are affected in a differential
manner by unexpected US monetary policy actions during the period 1967-2007. Full sample
results show that value, small capitalization and past loser stocks are more exposed to monetary
policy shocks in comparison to growth, big capitalization and past winner stocks. Subsample
analysis, motivated by variation in the realized premia and parameter instability, reveals that
monetary policy shocks’ impact on these portfolios is significant and pronounced only during the
pre-1983 period.
